OIL guidelines

If your Beetle/Golf/Jetta is pre-2004, it requires a synthetic 5w40 oil meeting VW 500.00, 505.00 or ACEA A3/B3.
Pennzoil has no product meeting these specifications in the U.S.A.
The most commonly available oil is Shell Rotella Synthetic (blue bottle). It is available at Wal-Marts, some Auto Zones, and most truck stops. It's an excellent oil for the ALH TDI and usually runs about $15-16.00/gallon. You car will need about 4.5 qts.
Mobil Delvac 1 is another excellent choice. It's also available at the same places which carry Rotella Synthetic and it is labeled as "Mobil Turbo Diesel Truck 5w40".
If your car is a 2004 or newer, it requires an oil meeting VW 505.01 which is difficult to find outside of VW/Audi dealerships. It will cost $6-8.00/qt.
You should be fine driving the car on standard "dino juice" for a few days, but I'd limit the mileage. Conventional 5w/10w30 motor oils intended for gassers don't have the ability to handle soot loading which is one reason they are not suitable for Diesel use.
(information compiled from the cincitdi yahoo mailing list from Mark Groves responding to a new member with an Oil change question)

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A few points to be taken

A few points to be taken strictly FYI:

Motor oils are classified by "Group Number", and the respective groups
are as follows:

Group I (1): a conventional petroleum base commonly used as a blend
ingredient with Group 2 and Group 2+ oils.

Group II & II+ (2 & 2+): conventional petroleum basestocks with higher
amounts of additives. Examples would be Valvolene 10W/40, Castrol GTX,
or Formula Shell 5W/30 for gassers, and Shell Rotella T 15W/40, Chevron
Delo 400 15w/40, and Mobil Delvac 1300 15W/40 for Diesel use.

Group III (3): Hydro-isomerized (sometimes called "hydrocracked")
conventional petroleum oil. These oils may be considered "super-
refined" dino oils and may also be blended with G2 and G2+. They show
many of the characteristics and properties of true synthetic oils, such
as: improved cold-starts, lower startup wear, greater resistance to
oxidation, better TBN retention, and improved shear stability.
Examples are Shell Rotella Synthetic 5W/40, Schaeffer's 9000 5W/40,
Chevron Delo 400 Synthetic 5W/40, and Castrol Syntec.

Group IV (4): True full-synthetic oils PAO-(polyaleolefin base) usually
made from ethylene gas and have no conventional petroleum base. They
offer an improvement over GIII in all respects (including extended-
drain intervals) but are much more expensive. Examples are Mobil Delvac
1/Mobil Truck & SUV 5W/40 (soon to be labeled Mobil 1 Turbo Diesel
5W/40), and Amsoil AFT 5W/40.

Group V (5): not commonly seen, but comprised of an ester base.
Sometimes blended with GIV. (I believe Redline offers a Diesel motor
oil blended from G4/G5 but I have never seen it anywhere).

A few notes:

Other "synthetic" oils (such as all current VW 505.01 specification for
the TDI PD) are also "Group III", and may also be blends of G2+ and G3
basestocks.

The new VW-spec 506.01 and 507.01 oils are G IV (true PAO-base)
synthetics.

There are conventional "dino" oils which do meet CI-4+ (and the soon-to-
be-released CJ). Chevron Delo 400 15W/40 and Shell Rotella T 15W/40 are
two examples. These two are "Group II & II+". Very good for non-TDI
applications.

For our purposes, CI-4/CI-4+/CJ oils of either GIII or GIV formulation
are perfectly suitable for use in pre-PD TDIs. (2004 model year).
(taken from a post from the cincitdi groups by mark groves)